Trend-Following Backtester · Guide · backtest 한국어
equity · US
Revvity, Inc. backtest
10 trend-following strategies were compared on the full daily history of Revvity, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -92.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.6%, MDD -65.6%, Sharpe 0.38, 59% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.7%, MDD -73.3%, exposure 79%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=17, slow=120 |
6.6% | -65.6% | 0.38 | 0.10 | 29.7x | 151 | 59% |
| Donchian 채널 돌파 entryN=22, exitN=74 |
6.7% | -73.3% | 0.37 | 0.09 | 31.7x | 147 | 79% |
| EMA 크로스오버 fast=42, slow=56 |
6.0% | -61.8% | 0.36 | 0.10 | 22.0x | 151 | 59% |
| ROC 모멘텀 n=99, threshold=-0.11 |
6.2% | -66.9% | 0.35 | 0.09 | 24.8x | 357 | 81% |
| Parabolic SAR step=0.02, maxStep=0.02 |
4.8% | -61.3% | 0.31 | 0.08 | 12.3x | 323 | 56% |
| Supertrend period=12, mult=4.9 |
4.5% | -69.1% | 0.30 | 0.07 | 10.6x | 195 | 56% |
| 볼린저 밴드 돌파 n=55, k=1.3 |
3.7% | -69.5% | 0.28 | 0.05 | 7.0x | 333 | 44% |
| MACD fast=30, slow=58, signal=31 |
3.2% | -78.7% | 0.25 | 0.04 | 5.3x | 375 | 51% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=20, mult=1.6 |
2.5% | -67.7% | 0.22 | 0.04 | 3.7x | 397 | 44% |
| ADX / DI 방향성 period=32, threshold=15 |
0.4% | -70.2% | 0.11 | 0.01 | 1.2x | 304 | 29% |
| Buy and hold | 9.4% | -92.7% | 0.43 | 0.10 | 121.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 17-day average price crosses above the 120-day average
- Sell — Sell (to cash) when the 17-day average falls below the 120-day average